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CDS and equity markets' volatility linkages : lessons from the EMU crisis
Bratis, Theodoros; Laopodis, Nikiforos; Kouretas, … - In: Review of quantitative finance and accounting 60 (2023) 3, pp. 1259-1281
Persistent link: https://www.econbiz.de/10014291804
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Intraday industry-specific spillover effect in European equity markets
Mateus, Cesario; Chinthalapati, V. L. Raju; Mateus, … - In: The quarterly review of economics and finance : journal … 63 (2017), pp. 278-298
Persistent link: https://www.econbiz.de/10011792059
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European equity market contagion : an empirical application to Ireland's sovereign debt crisis
Corbet, Shaen; Twomey, Cian - In: European financial and accounting journal : EFAJ 10 (2015) 3, pp. 15-34
This paper examines the time-varying conditional correlations of daily European equity market returns during the Irish sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the collapse of Irish equity markets and subsequent...
Persistent link: https://www.econbiz.de/10011471074
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Equity market contagion in return volatility during Euro Zone and global financial crises : evidence from FIMACH model
Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of risk and financial management : JRFM 12 (2019) 2/94, pp. 1-18
volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …
Persistent link: https://www.econbiz.de/10012022043
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Global contagion of market sentiment during the US subprime crisis
Lee, Yen-Hsien; Tucker, Alan L.; Wang, David K.; Pao, … - In: Global finance journal 25 (2014) 1, pp. 17-26
Persistent link: https://www.econbiz.de/10010400994
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Volatility and asymmetric dependence in Central and East European stock markets
Joseph, Nathan Lael; Vo, Thi Thuy Anh; Mobarek, Asma; … - In: Review of quantitative finance and accounting 55 (2020) 4, pp. 1241-1303
Persistent link: https://www.econbiz.de/10012304151
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Economic policy uncertainty, geopolitical risk, market sentiment, and regional stocks : asymmetric analyses of the EU sectors
Bossman, Ahmed; Gubareva, Mariya; Teplova, Tamara V. - In: Eurasian economic review : a journal in applied … 13 (2023) 3/4, pp. 321-372
Persistent link: https://www.econbiz.de/10014451975
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Global oil price and stock markets in oil exporting and European countries : evidence during the Covid-19 and the Russia-Ukraine war
Olayungbo, David Oluseun; Župarova, A. S.; Al-Faryan, … - In: Research in globalization 8 (2024), pp. 1-14
-Ukraine war period. As regards the volatility spillover, significant spillover is found from stock to oil market for Nigeria, vice … versa for Saudi Arabia and bi-directional volatility spillover found for the US, Italy and Germany during the COVID-19 … respectively while US, Italy and Germany should adopt policy coordination to stabilize oil-stock market volatility during low oil …
Persistent link: https://www.econbiz.de/10015047816
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The spillover effect on the CEE equity markets and the financial contagion In the context of financial integration
Boghicevici, Claudia; Stamule, Simona; Lolea, Iulian Cornel - In: Romanian journal of economic forecasting 24 (2021) 4, pp. 155-170
Persistent link: https://www.econbiz.de/10013407269
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Volatility co-movements and spillover effects within the Eurozone economies : a multivariate GARCH approach using the financial stress index
MacDonald, Ronald; Sogiakas, Vasilios; Tsopanakis, Andreas - In: Journal of international financial markets, … 52 (2018), pp. 17-36
Persistent link: https://www.econbiz.de/10011986183